Following the loss of his Commons seat he continued to take an active interest in politics, in particular foreign policy, and wrote a number of books and pamphlets on the subject.[1][2] He became a director of the London and North Eastern Railway from 1923–1948 and of Wembley Stadium.[2] When the Liberal Party split over support for the National Government in 1931, Murray initially remained with the main section of the party in opposition, but joined the National Liberals in 1936.[1]

In 1951 he succeeded to two titles: the Viscountcy of Elibank and the Lordship Elibank of Ettrick Forest, following the death of his elder brothers.[1] He was a Member of the Royal Company of Archers.[1][2] In 1931 he married the actress Faith Celli Standing. The couple had no children, and she died in 1942.[1][2]

He died in December 1962. On his death, the title of Lord Elibank and the baronetcy passed to his kinsman James A. F. C. Erskine-Murray (great grandson of the seventh Lord Elibank), the Viscountcy becoming extinct.[1]